本文以2000~2020年間主要貨幣之匯率資料，分別以美金及台幣計價的觀點，探討當投資人主要使用貨幣為美金或台幣時，主要貨幣是否能分散其投資風險，即具避險的效果。本研究主要以複迴歸模型及主成分分析的方式，檢視主要貨幣及台幣與各國股市、美國國庫券、波動度指數、泰德價差及外匯波動度之相關性，藉以判斷主要貨幣是否為避險貨幣。
　　實證結果發現，日圓及瑞士法郎較符合避險貨幣之特性，即當股市下跌，美國國庫券價值上漲及風險指標提升時，日圓及瑞士法郎將傾向升值。若從台幣持有者的觀點來看，有避險特性的貨幣則為日圓、瑞士法郎及美金。不僅如此，本研究亦發現風險指標中僅外匯波動度對匯率之超額報酬具解釋力，以及金融危機事件並未對避險貨幣的報酬帶來額外正向的影響。

　　I use major currencies’ data from 2000 to 2020 to examine the safe-haven characteristics of major currencies from the perspectives of both New Taiwan dollar’s and US dollar’s investors. Using multiple regression model and principal component analysis, I investigate the relationship between excess returns of major currencies and several explanatory variables, which include each country’s stock market returns, US bond prices, VIX, TED spread and FX volatility, to study whether major currencies are safe-haven currencies.
　　The empirical results demonstrate that Japanese Yen and Swiss France behave more like safe-haven currencies. They tend to appreciate when stock market falls, US bond prices increase, and FX volatility rises. From the perspectives of New Taiwan dollar’s investors, US dollar can also have hedging benefit. Furthermore, this paper finds that FX volatility is the only risk indicator that has significant effect on safe-haven currencies, and crisis events have no extra effects on the excess returns of safe-haven currencies.

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